Mohamed Majri

SMABTP

114 avenue emile zola

paris, 75015

France

SCHOLARLY PAPERS

3

DOWNLOADS

288

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Utility-Consistent Valuation Schemes for the Own Risk and Solvency Assessment of Life Insurance Companies

Asia-Pacific Journal of Risk and Insurance
Number of pages: 27 Posted: 17 Oct 2017 Last Revised: 04 Aug 2020
Olivier Le Courtois, Mohamed Majri and Li Shen
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control, SMABTP and EMLYON Business School
Downloads 107 (304,637)

Abstract:

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Expected Utility Theory, Cumulative Prospect Theory, ORSA, Market-Consistent, Fair Value, Best Estimate of Liabilities, Overall Solvency Needs, Own Funds, SAHARA-CPT.

2.

Credit Risk and Solvency Capital Requirements

European Actuarial Journal, Vol. 8, N°2, p. 487–515, 2018
Number of pages: 29 Posted: 19 Mar 2016 Last Revised: 26 Apr 2019
SMABTP, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and SMABTP
Downloads 92 (336,200)
Citation 2

Abstract:

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Credit Spread, Risk Premium Adjustment Factor, Solvency Capital Requirement, General Pareto Distribution, Market Consistency, Rating Transition, Credit Benchmarking, Constant Position

3.

A Conditional Equity Risk Model for Regulatory Assessment

Number of pages: 26 Posted: 08 Feb 2016 Last Revised: 27 Mar 2016
SMABTP, Regularity Team Inria Saclay and SMABTP
Downloads 89 (343,184)

Abstract:

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Market consistency, pro-cyclicality, Solvency Capital Requirement, stochastic functional differential equation